I've been using Winscp to transfer files back and forth, but for certain applications it would just be a lot simpler if I just had a "file" I could reference for the app to my web server without having to download back and forth. Is there such a file created with Winscp, or is there any other way that I could do that?
First you need to answer the question "Do you want your web server to have access to your local files?", because that is exactly what you are asking. The answer is probably no. If you still want to do it, at least you should setup a VPN between the web server and you PC, otherwise potentially everybody on the internet will have access to your files. Across the VPN you can mount a share on your PC and refer to that file with a symbolic link on the webserver.
I would recommend just creating a batch file that uses rsync to copy your file from your PC to the webserver and from the webserver to your PC, both times with the option to only replace the file if the source is newer. One of the operations would recognize that the target is newer and does nothing, the other operation copies the newer file,you end up with the newest version on both sides.